For the unit-scale Laplace distribution, integrating separately over the two half-lines gives the moment-generating function
for ; the appropriate half-line integral diverges outside that interval. Therefore
Its derivatives needed for the saddlepoint density approximation are
Set . Solving and selecting the root in gives the stable formula
including at . The other quadratic root is outside the domain. At the correct saddlepoint,
Substitution gives the saddlepoint density of a Laplace sample mean:
It is symmetric in , as the underlying Laplace distribution requires. At zero its value is , consistent with the local normal approximation having variance . This is an approximation, not an exact finite- density or an automatically normalized one.